Report published September 2, 2026
Deutsche Bank: US Treasury Carry Cushion Protects Returns up to 5.5% Yields
Source and citation context
- Issuer
- Deutsche Bank
- Report date
- September 2, 2026
- Analysis as of
- Not stated in source
Finvaulta summarizes Deutsche Bank's analysis. Attribute opinions, forecasts, time-sensitive values, and chronology to the issuer and report date; do not treat this page as an independent verification or a current market-data source.
Deutsche Bank highlights that elevated US Treasury yields now provide substantial carry protection, requiring 10-year yields to rise to roughly 5.5% in one year or 6.4% over two years before investors suffer negative total returns. Consequently, the severe negative-return phase experienced across major government bond markets is likely behind us.
Key Takeaways
- 1.Higher baseline yields now provide a substantial carry buffer: 10-year US Treasury yields would need to rise to ~5.5% over one year or ~6.4% over two years before total returns turn negative.
- 2.Over the past year, the Bloomberg U.S. Treasury Total Return Index gained ~1% despite a ~60 bps rise in 10-year yields, demonstrating how coupon income offsets price declines.
- 3.The rise in global yields reflects post-2010s financial repression normalisation and term premium dynamics rather than immediate market panic over fiscal trajectories.
Report data
Figure 1: US Treasury Index vs. 10y Govt. Yields. Over the last year returns have been positive even with a notable rise in yields.
| Metric | Estimate | Context |
|---|---|---|
| Bloomberg U.S. Treasury Total Return Index 1-Year Performance | 1.0% | Positive return achieved despite ~60bps rise in 10-year Treasury yields. |
| 10-Year US Treasury Yield Change | 60.0 bps | Rise in 10-year yields over the past year. |
| 10-Year US Treasury 1-Year Breakeven Yield | 5.5% | Yield level 10-year Treasuries could reach in one year before total returns turn negative. |
| 10-Year US Treasury 2-Year Breakeven Yield | 6.4% | Yield level required over a two-year horizon for investors to lose money on a total-return basis. |
| 10-Year US Treasury Total Return from October 2023 Peak | 16.0% | Total return earned by an investor buying 10-year Treasuries at the 4.99% peak in October 2023. |
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Reported Data Context
- Bloomberg U.S. Treasury Total Return Index 1-Year Performance: 1.0 % (past year) · Source: Bloomberg Finance LP, Deutsche Bank
- 10-Year US Treasury Yield Change: 60.0 bps (past year) · Source: Deutsche Bank
- 10-Year US Treasury 1-Year Breakeven Yield: 5.5 % (1-year forward) · Source: Deutsche Bank
- 10-Year US Treasury 2-Year Breakeven Yield: 6.4 % (2-year horizon) · Source: Deutsche Bank
- 10-Year US Treasury Total Return from October 2023 Peak: 16.0 % (October 2023 to present) · Source: Deutsche Bank